Modelling volatility by variance decomposition

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the variance of the model to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterisations describe both nonlinearity and structural change in the condition...

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Bibliographic Details
Main Author: Amado, Cristina (author)
Other Authors: Teräsvirta, Timo (author)
Format: workingPaper
Language:eng
Published: 2011
Subjects:
Conditional heteroskedasticity
Time-varying parameter model
Structural change
Lagrange multiplier test
Misspecification test
Nonlinear time series
Online Access:http://hdl.handle.net/1822/11660
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/11660

Internet

http://hdl.handle.net/1822/11660

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